Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0880 |
| Annualized Std Dev | 0.2240 |
| Annualized Sharpe (Rf=0%) | 0.3928 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1365 |
| Quartile 1 | -0.0060 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0074 |
| Maximum | 0.1200 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0141 |
| Skewness | -0.3268 |
| Kurtosis | 10.0940 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0103 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0110 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.5626 |
| Historical VaR (95%) | -0.0210 |
| Historical ES (95%) | -0.0332 |
| Modified VaR (95%) | -0.0212 |
| Modified ES (95%) | -0.0378 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-01-14 | -0.5626 | 913 | 444 | 469 |
| 2020-02-21 | 2020-03-23 | 2020-11-10 | -0.4249 | 184 | 22 | 162 |
| 2000-09-08 | 2002-10-09 | 2003-11-03 | -0.3237 | 791 | 522 | 269 |
| 2011-05-02 | 2011-10-03 | 2012-09-13 | -0.2653 | 347 | 108 | 239 |
| 2018-08-30 | 2018-12-24 | 2019-12-18 | -0.2371 | 328 | 80 | 248 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.1 | 0.1 | 0.4 | -0.7 | -0.8 | 0.6 | 0.5 | 1.5 | -0.7 | 0.1 | 0.6 | 0.2 | 1.6 |
| 2000 | 1 | 1 | 3.5 | 1.4 | 2.9 | -1.5 | 0.2 | 1 | -1.4 | 0.7 | 2.3 | -2.1 | 9.3 |
| 2001 | -0.4 | 0.4 | 0.6 | 1.4 | 1.3 | 1.5 | 1.1 | 0.7 | -1.3 | 1.8 | -1.7 | -1.1 | 4.4 |
| 2002 | -0.5 | 2.6 | 0.4 | 0.6 | 0.1 | -2.5 | -2.4 | -0.9 | 3.3 | 2 | -0.4 | 0.7 | 2.9 |
| 2003 | 1.8 | 0.4 | 1.4 | 0 | 2.4 | 0.9 | -0.8 | 0.5 | 2.4 | 0.1 | 1.3 | -0.7 | 10 |
| 2004 | 0.1 | 1.6 | 1.1 | -1 | 0.5 | -1.4 | -0.1 | 0.5 | 1.8 | 0.1 | 1.1 | -0.1 | 4.1 |
| 2005 | 0.9 | 0.5 | -0.2 | 1 | 1 | 0.8 | 0 | -0.3 | 0.7 | 0.9 | 1.4 | -0.3 | 6.6 |
| 2006 | 0.8 | 1.6 | 0.1 | -0.6 | 1.4 | 0.2 | -0.7 | 0.5 | -0.6 | -1.7 | 0.1 | -0.7 | 0.2 |
| 2007 | 1.1 | -0.4 | 0.5 | 0.3 | 0.4 | -0.1 | 0.5 | 1.5 | 1.2 | -2.3 | 1.2 | -0.9 | 3 |
| 2008 | 2.7 | -2.3 | 3.5 | 1.4 | 1 | 0 | -0.3 | -1 | 0 | 1.5 | -10.3 | 1.9 | -2.6 |
| 2009 | -2.8 | -0.8 | 1.4 | -0.1 | 3.7 | 0.8 | 0 | -2.1 | -2.9 | -2.9 | 1.5 | -1.3 | -5.4 |
| 2010 | 1.5 | 1.8 | 1.1 | -2.2 | -2.5 | -0.6 | 0.2 | 3.4 | 0.3 | 0 | 2.1 | -0.6 | 4.3 |
| 2011 | 1.5 | -1.6 | 0.7 | 0.3 | -2.9 | 1.7 | -0.6 | -1.5 | -2.7 | -3.1 | -0.7 | -0.6 | -9.2 |
| 2012 | 2.1 | 0.9 | -0.1 | 0.5 | -3.1 | 2.7 | -1.1 | 0.6 | -0.5 | 2.5 | 0 | 1.6 | 6.2 |
| 2013 | 0.8 | -0.1 | -1 | -1.8 | -1 | 1.5 | 2.1 | -1.6 | 1.4 | 0.1 | -0.4 | 0.4 | 0.2 |
| 2014 | -0.4 | 0.1 | 0.9 | 0.1 | -0.3 | 0.8 | -0.1 | 0.4 | -1.3 | 1.1 | -1.3 | -1 | -0.9 |
| 2015 | -1.3 | -0.4 | -0.4 | 0.8 | 0.2 | 0.4 | 0.2 | -2.8 | -0.2 | -0.1 | 0.9 | -1 | -3.9 |
| 2016 | -0.2 | 2.3 | 0.6 | -0.6 | 0.5 | 0.2 | -0.3 | 0 | 0.9 | -1.1 | -0.2 | -0.4 | 1.6 |
| 2017 | -0.3 | 1.7 | 0 | 0.3 | 1.6 | 0.1 | 0.3 | 0.4 | 0.1 | -0.3 | -0.3 | -0.5 | 3.1 |
| 2018 | 0.2 | -0.3 | 1.4 | 0.4 | 0.6 | 0.1 | -0.3 | 0.2 | -0.8 | 2 | 0.7 | 1.1 | 5.2 |
| 2019 | 0.3 | 0.8 | 1.3 | -1.2 | -1 | 0.2 | -1.5 | 0.2 | -1.9 | 1.4 | -1 | 0.1 | -2.4 |
| 2020 | -2 | -1.9 | -6 | -3.4 | 1.3 | -0.7 | -0.7 | 0.8 | 1.4 | -0.7 | 1.3 | 0.1 | -10.4 |
| 2021 | 2.1 | 2.8 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 73.3 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 73.5 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 74.6 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 73.7 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 73.5 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 73 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
